Particle system with combined meshes and lights
Unfortunately ctrl+J will work only with meshes so your solution cannot work, and also unfortunately Blender doesn't allow group hierarchies (like group of groups).

So, if you don't want to create mesh light emitters, that can be easily ctrl+J'd (but from your screenshot I see that you want to use spot lights, so mesh emitters won't help), I'd suggest to

Create a different particle system for each one of the "complex" buildings


Remove all the buildings with "lamp" lights from your original particle  system's dupligroup ("Object" menu > "Groups" > uncheck the existing group)
For each building that has lamps, hoping they are just a little fraction of your 37:


create a new particle system on the emitter plane (by duplicating the original one, making it "single user", and reducing the number of particles on both by ~ 1/37 and 36/37 respectively)
use Render>Group and check the "Whole Group" option
create a group containing only the building and its lamps
assign this group to the "Dupli Group" of the new particle system
change the Seed of the emitter until you remove overlaps with already existing buildings







Edit:

an illustrated version of the above

Say you have a situation like this, where a Group of buildings is being used by a Particle System to create the city by duplication:



Select the building on which you would like to add the lights, go to its "Object" properties, and remove it from the group:



Go back to the particle system and reduce the number of buildings for the "main" group, that now has only the buildings with no lights:



Now create the spotlights, select the lights and then the building, and do ctrl+G to create a new group:



Then go back to the emitter plane, and {1} create a new particle system, {2} apply the settings of the already existing particle system, then {3} click on the "2" to make it single-user (i.e. an independent particle system created from a copy of the original)



Finally, on the new particle system, reduce the number to a small value (as many buildings with light you want); select the newly created group (probably Group.001) as your DupliGroup; set "Whole Group" as dupli option:



If you have created the group in the correct way, the building should be correctly placed in the vertical direction. They will be, however, a little bit displaced horizontally from the emitter plane (especially if the spot lights are not exactly vertical). To fix this, play around with the "Offset" settings of the light's "Object">"Group">Group.001 properties until all the buildings lay on the city's floor.